Marcelo Fernandes
Marcelo Fernandes
Sao Paulo School of Economics, FGV
Verified email at fgv.br - Homepage
Title
Cited by
Cited by
Year
A family of autoregressive conditional duration models
M Fernandes, J Grammig
Journal of Econometrics 130 (1), 1-23, 2006
2352006
Modeling and predicting the CBOE market volatility index
M Fernandes, MC Medeiros, M Scharth
Journal of Banking & Finance 40, 1-10, 2014
1772014
Nonparametric specification tests for conditional duration models
M Fernandes, J Grammig
Journal of Econometrics 127 (1), 35-68, 2005
1232005
Nonparametric entropy-based tests of independence between stochastic processes
M Fernandes, B Néri
Econometric Reviews 29 (3), 276-306, 2009
412009
International market links and volatility transmission
V Corradi, W Distaso, M Fernandes
Journal of Econometrics 170 (1), 117-141, 2012
392012
O mecanismo de transmissão monetária na economia brasileira pós-Plano Real
M Fernandes, J Toro
Revista Brasileira de Economia 59 (1), 5-32, 2005
35*2005
A multivariate conditional autoregressive range model
M Fernandes, B de Sá Mota, G Rocha
Economics Letters 86 (3), 435-440, 2005
342005
Desempenho de estimadores de volatilidade na Bolsa de Valores de Sao Paulo
BS Mota, M Fernandes
Revista Brasileira de Economia 58 (3), 429-448, 2004
292004
March madness in Wall Street:(What) does the market learn from stress tests?
M Fernandes, D Igan, M Pinheiro
Journal of Banking & Finance 112, 105250, 2020
282020
Financial crashes as endogenous jumps: estimation, testing and forecasting
M Fernandes
Journal of Economic Dynamics and Control 30 (1), 111-141, 2006
27*2006
Statistics for business and economics
M Fernandes
Bookboon, 2008
252008
Central limit theorem for asymmetric kernel functionals
M Fernandes, PK Monteiro
Annals of the Institute of Statistical Mathematics 57 (3), 425-442, 2005
202005
Non‐linearity and exchange rates
M Fernandes
Journal of Forecasting 17 (7), 497-514, 1998
191998
Perspectivas de mercado da fruta brasileira
MS Fernandes
Frutas do Brasil: saúde para o mundo. Cabo Frio: SBF/UENF/UFRRJ, 4-12, 2006
182006
Testing the Markov property with high frequency data
J Amaro de Matos, M Fernandes
Journal of Econometrics 141 (1), 44-64, 2007
162007
Estimating the stochastic discount factor without a utility function
F Araujo, JV Issler, M Fernandes
Fundação Getulio Vargas, 2005
16*2005
Tests for conditional independence, Markovian dynamics, and noncausality
M Fernandes, RG Flores
Discussion Paper, European University Institute, 1999
14*1999
A (semi) parametric functional coefficient logarithmic autoregressive conditional duration model
M Fernandes, MC Medeiros, A Veiga
Econometric Reviews 35 (7), 1221-1250, 2016
13*2016
Economics and literature: An examination of gulliver’s travels
M Fernandes
Journal of Economic Studies, 2001
132001
Price discovery in dual‐class shares across multiple markets
M Fernandes, CM Scherrer
Journal of Futures Markets 38 (1), 129-155, 2018
12*2018
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Articles 1–20